Final thesis is added in the main branch, while the final versions of the different models related to the different applications are present in the sub-branches. Implied_vola relates to At-the-Money Implied volatility curve corrections. GARCH_analysis relates to obtaining VaR for large portfolios using autoencoders. RE_analysis performs a reconstruction analysis when changing the distributional assumptions of the underlying variational autoencoder.
Final thesis is added in the main branch, while the final versions of the different models related to the different applications are present in the sub-branches. Implied_vola relates to At-the-Money Implied volatility curve corrections. GARCH_analysis relates to obtaining VaR for large portfolios using autoencoders. RE_analysis performs a reconstruction analysis when changing the distributional assumptions of the underlying variational autoencoder.